Actuarial Science

My research interests concerns stochastic processes, in particular Levy processes, and their application to problems in areas like finance and actuarial science. Some particular topics are optimal stopping problems, both in finite and infinite time (which have an interpretation as the price of an option in math finance); optimal stopping games (which have an application in modelling financial option like contracts where both parties have the right to exercise); optimal prediction problems (a large class of problems that concern predicting future events of a stochastic process such as the height of its ultimate maximum); constructing new families of Levy processes and simulation thereof (in particular through applications of the Wiener-Hopf factorisation); the study of exponential functionals of Levy processes and the study of quantities like first hitting times and under/overshoots of Levy processes (which have an interpretation as ruin time/debt at ruin in risk theory/actuarial science).

Academic contact

Dr Kees van Schaik, Tel: +44 (0)161 275 5853, E-mail: kees.vanschaik (@manchester.ac.uk)

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